1994 Fiscal Year Final Research Report Summary
EFFICIENCY OF THE GOVERNMENT BOND MARKETS IN JAPAN
| Project/Area Number |
05630056
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | HITOTSUBASHI UNIVERSITY |
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Principal Investigator |
KAMAE Hiroshi HITOTSUBASHI UNIV.COMMERCE,PROF., 商学部, 教授 (60091542)
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| Project Period (FY) |
1993 – 1994
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| Keywords | Government bond markets / Pure expectation hypothesis / Fisher hypothesis / Cointegration approach / Darby hypothesis / カルマン・フィルター / Darby仮説 |
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| Research Abstract |
In this research, I have analyzed structure of the government bonds markets, especially those of the long-term bonds in Japan, by studying the term structure of the interest rates and the Fisher hypothesis. The sample period is enlarged to include 1977 to 1993. I have tested whether the pure expectations hypothesis holds or not, and the Fisher hypothesis holds or not. I have specified that hypotheses in terms of discount bonds by using VAR (vector autoregressive) method, and estimated it by the Johansen and Juselius (1990)' cointegration approach. When I have assumed that the expected value of all of the issues have unbiasedness property, then the estimation results rejected the hypothesis about almost all terms to maturity.
I estimated unobservable expected inflation rates by using the Kalman filter. The Fisher hypothesis was rejected, and my tentative tests showed that the Darby and Feldstein hypothesis was supported. They show that the interest rates change larger the the change in expected inflation rate.
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